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I can tell you all about price bands ... there was NO price band on 4/20, it was literally limitless although technically speaking from a programming perspective I'm certain there is 'some limit'. I also have more screen shots on this 'new' potential issue, so if you think this shit show can never happen again I already have some evidence that their is still no consistency to the definition 'no low limit'. Feel free to check it for yourself on all the various platforms and report back what you find. I did my research and am preparing for the next future case lol.
Prior to the CME changing the band on or just before 4/20, there was a low band of 0.01(CL) and 0.025(QM), there was and still is no high band. There are dynamic limits that kick in for short periods of time in both directions. I believe they triggered a few dozen times on 4/20, according to the recent CFTC report. In the past there used to %/$ hi/lo limits for the next trading sessions based on prior settlement. This was as recent as a couple years ago. I also have all this proof, my research has been thorough. These limits have been changing all the time. IB has been in business for how long? Since the early 80's I believe, they've had to adjust limits in the past on a daily basis.
So if you truly want to believe TT could handle negative oil based on the fact they've been in the energy business for decades which has seen negative pricing, then how do you explain IB's failure? IB has been an industry leader for 4 decades and has provided access to more exchanges than most all others in those 40 years. So if you're suggesting that TT was fine, without any solid proof, then how do you explain that in the 40 year history of IB they have never had anyone trade negative energy, to expose any flaws? I highly doubt that's the case and given that WTI has NEVER had the negative and zero permissible flags set in it's entire history (what 30/40 years I forget exactly?) and if IB didn't get it right, it certainly is a stretch for anyone to claim TT was fine.
Also to the other point, I'm not claiming they weren't fine, I was asking for anything more than mere opinions.
Also, regarding the pic I did post, it's one of many. When the events unfolded on 4/20 I got chatting with many trading friends I've known for years, online. We have accounts all over the place, live, demo, you name it, we started testing!
I don't think you guys have any clue what's about to unfold ...
Can you help answer these questions from other members on NexusFi?
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals and Crypto.
Frequency: Many times daily
Duration: Never
Posts: 5,049 since Dec 2013
Thanks Given: 4,388
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Okay lets slow down a second. Lots of partially correct/partially incorrect statements being thrown around
There are Price Limits, Price Bands and Velocity Logic. All have similar purposes but all act very differently. I believe what you talking about is Price Limits not Price Bands. We could get into a huge discussion about them but I'm not sure the relevance to the discussion. I will agree, that before April 20 CL was unable to go below zero.
In early April the CME first started by listing Negative Strikes for Crude oil.
But it wasn't until April 20th that CME actually allowed CL to trade negative
Regarding TT, your accusations are baseless. If no software worked below $0 then how did trades happen? On my statement for April 20th I have 11 lots traded in CLK0 of which 10 have a negative price but I think all of them were TAS or spread trades. So that wouldn't prove anything. I did trade over 1000 lots of CL that day though, so I do have some idea of what I am talking about.
Before ICE bought the IPE and then LIFFE and even the NYSE they started as a small OTC (ie non-cleared) energy exchange. (In fact before that, before Jeff Sprecher bought them, the software was used a regional power transmission exchange.) When ICE launched, first with metals and oil, then adding gas and power, you couldn't even connect to the exchange unless you had credit agreements with all the major players in the industry. (Think Shell, BP, Goldman, Morgan, Enron etc). Eventually ICE added cleared contracts (after buying the IPE and LCH) and after Dodd-Frank I believe they went cleared only. The products traded on that original exchange are very industry specific and often have very large contract sizes. They are also silo'd in their own separate exchange, commonly refereed to as S2F which stands for Swaps 2 Futures, reflecting the transition from OTC Bilateral Swaps to Cleared Futures. I suspect that IB doesn't even connect to the ICE S2F exchange. In fact I don't know any other ISV that does. (FYI ICE have their own front end called WebICE). I google searched for IB and these contracts but couldn't find any. Can you confirm whether you can trade the ICE Waha Swing Future ( link) on IB. If so what are your data costs? If IB don't have access to ICE S2F then they almost surely never had anybody trade negative energy prices before April 20th.
True, the correct term is limits, the post I referred to used the expression bands and I didn't feel like correcting, figured to the lay person it's semantics, but yes, bands are also dynamic limits that move throughout the day. I don't consider it irrelevant or off topic though. Technically zero behaved differently. My tests also included and noted some differences in rejection based on that difference between zero and negative.
Regarding accusations, are you serious? I made it very clear that I interpreted the statements/claims made that 'TT was ok' as opinion without any evidence or even a statement that someone did place a trade using TT, to that date/time no one had responded. I had my evidence questioned so why wasn't it fair for me to question any statement/claim made here without proof? I'm not going to ask you to post your account or anything. I'm not like the guy that seemed to think I had some private emails from AMP I should share here. I was still waiting for that evidence. WOW just WOW, please go back and read my comments. I repeat I have done nothing but provide facts and asked for the same. It's ok if you have your opinion, it's also ok for me to suggest that it is only an opinion and not factual.
Lots of great info being shared here, thank you to all the contributors! There is also a lot at stake for many that are wrapped up in this complex situation, so please take a breath before replying and keep things calm, helpful, and polite!
Thanks for your detailed replies as always @SMCJB.
I had to remind myself what TAS was, since I don't ever use it. I figured I would add an entry in our wiki for others that didn't know. It's Trade At Settlement. I've used MOC orders, I assume this is similar but naturally at settlement price not closing price.
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals and Crypto.
Frequency: Many times daily
Duration: Never
Posts: 5,049 since Dec 2013
Thanks Given: 4,388
Thanks Received: 10,207
@RT777 lets just drop the TT argument. TT did not have a problem. If you don't want to believe me then don't.
Yes MOC and TAS orders are virtually the same. MOC is stock terminology while TAS is futures. They are a little different in that TAS is actually a traded contract while MOC is really an order type, but the result is the same, you hope to achieve the settlement price. TAS is also slightly different in that it can trade at prices other than 0. So if you buy TAS at 1 you are actually buying Settlement +1 tic.
There's also TAM which is 'Trade at Marker". These are used in energy market a lot. For example Brent and Gasoil are both european oil products traded on ICE-EU originally the IPE. Gasoil has a settlement window at the end of the UK day 4:28-4:30 London time. Brent on the other hand has a settlement window in line with NYMEX CL at 7:28-7:30 London time. If you were to do a TAS Gasoil-Brent crack the price would be off because the settlements are 3 hours apart. Hence there is a "Marker Price" in Brent representing what the close would have been if it settled at 4:28 not 7:28. Hence if you want to trade Gasoil-Brent crack at Settlement, you would actually trade Gasoil TAS vs Brent (London) TAM. I say London as for Brent there is also a Singapore Close Marker. I believe COMEX also have London and Singapore marker prices for some of the metals, but thats not my expertise. https://www.ice.com/publicdocs/futures/ICE_Futures_daily_markers_futures.pdf
If we go back to April 20th and CLK0 this is all very important because about 31% of the volume that day was TAS. Think about that. 31% of the volume was Trade At Settlement! Also TAS traded limit down that day, which is -10. Meaning the price of those TAS contracts was Settlement -10 ticks! The Bloomberg "Essex Boys" article is claiming that they bought TAS contracts and then sold futures to hedge those positions. If we assume they were the big buyers at -10 this would mean that as long as their sales averaged higher than Settlement -10 they made money. If they were selling for the 30 mins prior to the settlement, then their profits would be significantly higher than that. Given that Bloomberg is alleging they made $660M that was obviously the case.
Anyways...just to clear up LIMITS, these were the LIMITS a few years ago, this is what people seem to recall the most, also the range is a $10 BAND, hence multiple reasons for the confusion.
On 4/20 here are the published LIMITS for CL according to the CME site, which btw crashed that afternoon due to high volume, or maybe they just unplugged it I don't know *** on the verge of opinion here but maybe not lol.***
Regarding any claim that retail 'should' have known about 'No Low Limit' is completely superfluous.
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals and Crypto.
Frequency: Many times daily
Duration: Never
Posts: 5,049 since Dec 2013
Thanks Given: 4,388
Thanks Received: 10,207
@RT777 nice screenshots. Also interesting to note that CME seem to have removed the high/low limits from their website!
Regarding the April 20th screenshot I believe the quoted numbers are wrong. My understanding is that only May was allowed to go negative not June, but since June never got close i supposed we don't know. Also it lists the high limit for both May and June as $0.01 which is below the high of the day, so we know that wasn't correct. Not an allegation against you, saying CME was obviously wrong.
Regarding not knowing about the no limit. I think people fall into two categories. Serious/professional traders, and part-time/amateur traders. Serious/professional traders should have known. They should be subscribed to CME (and ICE) mailing lists that announce these things. Part-time/amateur traders, probably didn't know, but they shouldn't have been trading CLK0 on penultimate. I guess we differ on that opinion.
You're reading it backwards, the Hi is no limit, the low is 0.01. And yes the limit column was taken away. I think it took them about a week to get that right.
Ok, so let's say hypothetically all retail were told the contract could go negative. Should that preclude them from trading it? Why theoretically couldn't someone scalp in long at -2 and out at -1 or whatever? In the end isn't it all just numbers? Are there any other numbers that don't work that we should be made aware of. Given that retail would only know that the contract can't settle bellow 0.01 or 0.025 what's wrong with risking a few hundred on what could have potentially been a great scalp, just above zero. Those were the rules retail was given and then they got locked out! It's guaranteed this was a retail game problem, since QM expires the day before CL and it's unlikely any retail account would be holding physical delivery that day.
Think what the outcome would have been had more market participants been able to trade it. It's almost guaranteed no retail could trade it, but how many pros could trade it? That's something that we don't know. It's also a glaring 'no show' on the sanitized CFTC report. Since they went into great depth to explain the economic events and trade sizes on aggregate etc. But they omitted details on the test server and anything to do with firms that tested their systems either recently or in the past. Absolutely no information on how many market participants had access to negative trading. They did include some footnote about the CME notices but that was the extent of that!!!!! Bring on the Dems in the new year and let's see if that mockery gets straightened out! Tarbert, for those who don't know is a repub and waited until after the election was resolved to release the report. Speculation is that he is on the way out, probably with golden handshakes not showers! After all 2020 was a record year for CFTC enforcement. Great job boy's, let's not talk about our role in this fiasco!
Tarbert also had the nerve to state most trades occurred at positive prices DUH NO SHIT SHERLOCK!!!! Tarbert also didn't give the reporters the report prior to the press conference so they couldn't ask questions about the details. Tarbert also didn't show up to the press conference!!! Should I go on...verging on getting political here lol but it is appropriate...
When you buy a car you expect to be able to accelerate and brake don't you?
Sorry but I'm not dropping this issue. You still haven't provided proof. By your own admission you stated...
"On my statement for April 20th I have 11 lots traded in CLK0 of which 10 have a negative price but I think all of them were TAS or spread trades. So that wouldn't prove anything. I did trade over 1000 lots of CL that day though, so I do have some idea of what I am talking about."
So those 1000 CL lots were all traded at positive? Should I assume since you didn't clarify that, unless you'd like to do that now? As far as I know TAS trades +- 10 ticks and has done so for a long time, correct? In other words that was normal well before 420. WTI outrights trading negative had never happened! Also too wouldn't it be totally plausible IB trades negative calendar spreads that go into contango/backwardation. Surely for spreads they've traded at negative, but again, outrights, still no proof who could trade what, except of course for the evidence I've gathered with the help of friends.
Hence one can only conclude it is your opinion TT was fine but still no proof. I'm not choosing to believe or not believe you. I believe the facts you've just made regarding your account and by those admissions you still have no proof. Again I'll repeat till I'm blue in the face, I'm providing evidence and hard facts and so far I'm the only one in this thread to do that.
People need to understand that when this goes to court one simply can't tell the judge they don't want to talk about it anymore because no one believes them. It's not a belief system, facts will prevail. The topic is a lawsuit after all!
Think of this as a mock trial, or a kangaroo court, whatever floats your boat.
